The data indicated that during July 3 - 7, program trading amounted to 34.2 percent of NYSE average daily volume of 2,634.5 million shares1, or 902.1 million program shares traded per day.
Program trading encompasses a wide range of portfolio-trading strategies involving the purchase or sale of a basket of at least 15 stocks with a total value of $1 million or more.
For the third quarter of 2006, the NYSE’s program-trading report includes profiles of program trading whenever the New York Stock Exchange Composite Index (NYA) moves 150 points or more in a single direction during any one-hour period. During July 3 - 7, there were no such periods.
In all markets, program trading by member firms averaged 1,752.0 million shares a day during July 3 - 7. About 51.5 percent of program trading took place on the NYSE, 2.3 percent in non-U.S. markets and 46.2 percent in other domestic markets, including Nasdaq, the American Stock Exchange and regional markets.
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